The Behavior of Foreign Exchange Markets: A Critical Survey of the Empirical LiteratureNew York University, Graduate School of Business Administration, Salomon Brothers Center for the Study of Financial Institutions, 1978 - Foreign exchange - 54 pages |
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Page 12
... specification of exogenous dummy variables and proxies . Such dummy variables are used frequently in the capital flow literature , despite the fact that exchange rate expectations and resulting speculative capital flows are usually ...
... specification of exogenous dummy variables and proxies . Such dummy variables are used frequently in the capital flow literature , despite the fact that exchange rate expectations and resulting speculative capital flows are usually ...
Page 19
... specification of hedging versus speculation in the forward exchange market has been overexposed . The most meaningful and useful specification still would seem to be to treat hedging no differently from speculation . In summary , the ...
... specification of hedging versus speculation in the forward exchange market has been overexposed . The most meaningful and useful specification still would seem to be to treat hedging no differently from speculation . In summary , the ...
Page 23
... specification does not make it possible to empirically identify the proportion of cover- ing undertaken by traders or arbitragers . Also , the empirical parts of the paper consist of capital flow rather than foreign exchange estimations ...
... specification does not make it possible to empirically identify the proportion of cover- ing undertaken by traders or arbitragers . Also , the empirical parts of the paper consist of capital flow rather than foreign exchange estimations ...
Common terms and phrases
Aliber Artus assets Bank biased Canadian dollar Canterbery coefficients concludes covered interest arbitrage covered interest differential covered margin indicator destabilizing speculation Deutschemark deviations from interest deviations from PPP distributed lag dummy variables econometric efficient markets efficient markets hypothesis empirical endogenous equilibrium estimates evidence of destabilizing exchange rate changes exchange rate expectations exogenous expectations function expected future spot explained explanatory variables finds Fisherian Flexible Exchange Rates flexible rate floating exchange rates foreign exchange markets forward exchange rate forward market forward premium forward rate French franc Frenkel and Levich future spot rate Grubel hedging identify imply interest arbitrage interest parity Journal Kohlhagen 1977b market efficiency mimeo monetary policy official demand official intervention paper Pippenger price changes profits proxy random walk hypothesis regression relative prices significant simultaneity bias specification speculative period spot and forward stabilizing Stein studies subsequent spot rate techniques tests theoretical Theory tion transaction costs unstable volatility